Futures Specification

The futures contracts we offer are contracts between two parties, obliging to buy or sell a particular currency, commodity or underlying index at a future point in time (expiration date) at a price agreed upon (price of transaction).Currently, Quedex offers futures on BTCUSD exchange rate. Quedex futures are bitcoin-settled, no actual underlying is exchanged at expiration, the contracts are financially settled in BTC.

Quedex futures follow the established standard of the so-called inverse futures. These contracts correspond to the products listed on BitMEX, OKEx or Deribit.

This article provides specification of Quedex futures. For financial description and examples please see the following:

Parameters

Each futures contract will have the following parameters:

  • Underlying notional amount: how much is the contract worth. This is sometimes also referred to as the contract multiplier.
  • Settlement index: what value is used to calculate the settlement value and margining price.
  • Issue date: the date the contract goes live.
  • Expiration date: the date the contract is settled.
  • Initial and maintenance margin: how many bitcoins are locked in order to open the position (initial margin) and keep it open (Maintenance Margin)

Contract maturities

Currently, there are at least 3 contract maturities, expiring on Fridays 8:00 UTC

  • weekly, expiring every Friday
  • monthly, expiring on last Friday of the month
  • quarterly, expiring on last Friday of March, June, September and December

Margining and P/L

Futures on Quedex are margined (read more on margining), which means that you don't have to deposit the full contract value in order to open a position, only the margin (= 1 / Mark Price * Notional Amount * Margin Requirement). This means that trading them involves leverage.

Example
margin requirement of 0.04 (or 4%) means up to 25x leverage (because 1/0.04 = 25), meaning that only 4% of the contract's value will be locked as a collateral.

To view a contract's margin requirement click on the icon next to the contract's symbol in the trading app.

Margin and P/L calculations

When trading a futures contract, you don't have to deposit the full contract value, only the margin, but you receive profit and loss (P/L), resulting from the contract's price change, with respect to the whole contract value.

Margin for an open position and a pending order is calculated as follows:

margin Amount = margin percent * 1 / Mark Price * Notional Amount * Quantity

where:

  • Margin Amount - initial or maintenance margin, in BTC.
  • Margin Percent - initial or maintenance margin percent, respectively (value available on contract's details popup).
  • Mark Price - the price used for valuing the contract, currently it is the spot price.
  • Notional Amount - number of units of the underlying
  • Quantity - either position or order quantity

Calculations of the Unsettled P/L for open position are shown below:

 Unsettled P/L = Position Side Sign * (1 / Entry Price - 1 / Mark Price) 
          * Notional Amount * Quantity

the terms used have the same meaning as above, and:

  • Position Side Sign - +1 for long position (you've bought the contract) and -1 for short position (you've sold the contract)
  • Entry Price - the price at which the position was opened
  • Mark Price - the same price as used for margin calculations; this means that the position can have positive or negative P/L immediately after opening

Calculations of the Realized P/L for open position are shown below:

 Realized P/L = Position Side Sign * (1 / Entry Price - 1 / Exit Price) 
          * Notional Amount * Quantity

where (all other terms retain their meaning from previous formulas):

  • Exit Price - the price at which the position is closed.

Settlement

The contracts are settled on the expiration date immediately after the Closing Auction. Currently, all futures are financially settled, which means that no USD is transferred. The P/L is calculated as usually, but the last time it is calculated it uses the Settlement Price instead of the Mark Price:

 Settlement P/L = Position Side Sign * (1 / Entry Price - 1 / Settlement Price) 
          * Notional Amount * Quantity

where Settlement Price is calculated as explained in the settlement article.